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19.12.2019 - Working Paper

A Note on Portfolio Optimization with Quadratic Transaction Costs

A Note on Portfolio Optimization with Quadratic Transaction Costs

Pierre CHEN, Edmond LEZMI, Thierry RONCALLI, Jiali XU

Working paper

Working paper

02.10.2019 - Working Paper

Machine Learning Optimization Algorithms & Portfolio Allocation

Machine Learning Optimization Algorithms & Portfolio Allocation

Thierry RONCALLI, Sarah PERRIN

Working paper

Working paper

30.09.2019 - Working Paper

Forecasting Combination: An Application For Exchange Rates

Forecasting Combination: An Application For Exchange Rates

Elisa BAKU, Edmond LEZMI

Working paper

Working paper

27.08.2019 - Working Paper

Do universal owners vote to curb negative corporate externalities? An empirical analysis of shareholder meetings

Do universal owners vote to curb negative corporate externalities? An empirical analysis of shareholder meetings

Marie BRIERE, Sébastien POUGET, Loredana URECHE-RANGAU

Working paper

Working paper

24.06.2019 - Working Paper

Factor Investing in Currency Markets: Does it Make Sense?

The concept of factor investing emerged at the end of the 2000s and has completely changed the landscape of equity investing.

Elisa BAKU, Roberta FORTES, Karine HERVE, Edmond LEZMI, Hassan MALONGO ELOUAÏ, Thierry RONCALLI, Jiali XU

Working paper

Working paper

18.06.2019 - Working Paper

Pricing Individual Stock Options using both Stock and Market Index Information

When it comes to individual stock option pricing, most applications consider a univariate framework.

Jeroen V.K. ROMBOUTS, Lars STENTOFT, Francesco VIOLANTE

Working paper

Working paper

17.06.2019 - Working Paper

Variance Premium, Downside Risk, and Expected Stock Returns

We decompose total variance into its bad and good components and measure the premia associated with their fluctuations using stock and option data from a large cross-section of firms.

Bruno FEUNOU, Ricardo LOPEZ ALLOUCHKIN, Roméo TEDONGAP, Lai XU

Working paper

Working paper

17.06.2019 - Working Paper

International Stock Market Co-Movements and Politics-Related Risks

We investigate the determinants of international stock market co-movements, shedding light on the relevance of politics-related factors.

Giovanni PAGLIARDI, Patrice PONCET

Working paper

Working paper

10.05.2019 - Working Paper

Environmental Social and Governance Proposals and Shareholder Activism

This chapter studies shareholder activism through environmental, social and governance (ESG) proposals between 1996 and 2015 filed by social responsible funds (“SRI”)

Jiaying WEI

ESSEC Business School

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